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ResearchFormerly WizWand

Joint VaR-ES forecasting on US equity (test)

8.37DM Test StatisticLANN
-8.6652-4.24260.184.6026Jun 3, 2026
Updated 5mo ago

Evaluation results

MethodLinks
LANNReference Model=NN2026.068.37
EInformerReference Model=Informer2026.062.27
DInformerReference Model=Informer2026.061.62
EInformerReference Model=GRU2026.061.45
EInformerReference Model=LSTM2026.061.22
GARCHReference Model=GAS2026.061.04
LANNReference Model=Linear2026.061.02
DInformerReference Model=GRU2026.060.91
EInformerReference Model=DLinear2026.060.76
DInformerReference Model=LSTM2026.060.58
EInformerReference Model=NN2026.060.42
DLinearReference Model=NN2026.06-0.11
DInformerReference Model=NN2026.06-0.21
EInformerReference Model=Linear2026.06-0.23
DInformerReference Model=DLinear2026.06-0.32
InformerReference Model=GRU2026.06-0.56
EInformerReference Model=LANN2026.06-0.81
NNReference Model=Linear2026.06-0.85
ReSGAReference Model=SGA2026.06-1.12
InformerReference Model=LSTM2026.06-1.31
LSTMReference Model=NN2026.06-1.32
DInformerReference Model=EInformer2026.06-1.39
SGAReference Model=Informer2026.06-1.4
InformerReference Model=NN2026.06-1.62
DLinearReference Model=Linear2026.06-1.73
GRUReference Model=NN2026.06-1.8
DInformerReference Model=LANN2026.06-1.83
LSTMReference Model=DLinear2026.06-2.11
SGAReference Model=DInformer2026.06-2.13
SGAReference Model=GRU2026.06-2.17
LSTMReference Model=Linear2026.06-2.21
GRUReference Model=LSTM2026.06-2.23
SGAReference Model=EInformer2026.06-2.25
ReSGAReference Model=Informer2026.06-2.33
LANNReference Model=GARCH2026.06-2.34
EInformerReference Model=GARCH2026.06-2.37
LinearReference Model=GARCH2026.06-2.39
DLinearReference Model=GARCH2026.06-2.39
DInformerReference Model=GARCH2026.06-2.39
LSTMReference Model=GARCH2026.06-2.4
NNReference Model=GARCH2026.06-2.41
GRUReference Model=GARCH2026.06-2.41
InformerReference Model=GARCH2026.06-2.41
SGAReference Model=GARCH2026.06-2.43
ReSGAReference Model=GARCH2026.06-2.44
GRUReference Model=Linear2026.06-2.46
ReSGAReference Model=DInformer2026.06-2.51
ReSGAReference Model=EInformer2026.06-2.6
DInformerReference Model=Linear2026.06-2.66
DLinearReference Model=LANN2026.06-2.86
GRUReference Model=DLinear2026.06-2.89
SGAReference Model=LSTM2026.06-3.05
InformerReference Model=DLinear2026.06-3.13
ReSGAReference Model=GRU2026.06-3.26
LANNReference Model=GAS2026.06-3.3
LinearReference Model=GAS2026.06-3.35
EInformerReference Model=GAS2026.06-3.36
NNReference Model=GAS2026.06-3.39
DInformerReference Model=GAS2026.06-3.41
DLinearReference Model=GAS2026.06-3.42
LSTMReference Model=GAS2026.06-3.43
InformerReference Model=GAS2026.06-3.44
GRUReference Model=GAS2026.06-3.45
SGAReference Model=GAS2026.06-3.51
ReSGAReference Model=GAS2026.06-3.51
SGAReference Model=NN2026.06-3.56
InformerReference Model=Linear2026.06-3.8
ReSGAReference Model=LSTM2026.06-4.13
SGAReference Model=DLinear2026.06-4.4
InformerReference Model=LANN2026.06-4.46
ReSGAReference Model=NN2026.06-4.49
SGAReference Model=Linear2026.06-4.62
ReSGAReference Model=Linear2026.06-4.69
ReSGAReference Model=DLinear2026.06-4.82
LSTMReference Model=LANN2026.06-5.24
GRUReference Model=LANN2026.06-5.65
ReSGAReference Model=LANN2026.06-7.63
SGAReference Model=LANN2026.06-8.01